On the Popularity of the CPPI Strategy: A Behavioral-Finance-Based Explanation and Design Recommendations
Hubert Dichtl and Wolfgang Drobetz
The Journal of Wealth Management Fall 2010, 13 (2) 41-54; DOI: https://doi.org/10.3905/jwm.2010.13.2.041
Hubert Dichtl
is an asset management consultant at Alpha Portfolio Advisors in Bad Soden, Germany.
Wolfgang Drobetz
is a professor of finance at the Institute of Finance, University of Hamburg in Hamburg, Germany.
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On the Popularity of the CPPI Strategy: A Behavioral-Finance-Based Explanation and Design Recommendations
Hubert Dichtl, Wolfgang Drobetz
The Journal of Wealth Management Jul 2010, 13 (2) 41-54; DOI: 10.3905/jwm.2010.13.2.041
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- Article
- Abstract
- DIFFERENT STRATEGIES TO PROVIDE PORTFOLIO INSURANCE
- A SIMPLE BACKTEST: RISK–RETURN CHARACTERISTICS OF THE CPPI STRATEGY
- PROSPECT THEORY VERSUS EXPECTED UTILITY THEORY
- RESULTS OF BOOTSTRAP SIMULATIONS
- RESULTS OF MONTE CARLO SIMULATIONS
- HOW SHOULD CPPI-BASED PORTFOLIO INSURANCE PRODUCTS BE DESIGNED?
- CONCLUDING REMARKS
- APPENDIX
- ENDNOTES
- REFERENCES
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